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As a child, Cheung idolized kung-fu legend Bruce Lee but never seriously considered a career in acting.

Starting out as a model, Cheung turned to acting when director Yeung Fan cast him in his 1986 film Lost Romance and the first of his many roles portraying a villain followed in the acclaimed director Ringo Lam's 1987 City on Fire.

Recently, Cheung has appeared in a number of Andrew Lau's films, most notably in the second installment of the internationally acclaimed Infernal Affairs trilogy, and in the 1998 The Storm Riders, in which Cheung broke free of his standard villainous self altogether and portrayed a Shaolin monk.